Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0834 |
| Annualized Std Dev | 0.2548 |
| Annualized Sharpe (Rf=0%) | 0.3272 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3579.0000 |
| NAs | 1.0000 |
| Minimum | -0.1431 |
| Quartile 1 | -0.0060 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1351 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0160 |
| Skewness | -0.2106 |
| Kurtosis | 11.8042 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0116 |
| Gain Deviation | 0.0118 |
| Loss Deviation | 0.0129 |
| Downside Deviation (MAR=210%) | 0.0159 |
| Downside Deviation (Rf=0%) | 0.0114 |
| Downside Deviation (0%) | 0.0114 |
| Maximum Drawdown | 0.6881 |
| Historical VaR (95%) | -0.0233 |
| Historical ES (95%) | -0.0386 |
| Modified VaR (95%) | -0.0231 |
| Modified ES (95%) | -0.0332 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-07-07 | -0.6881 | 1007 | 426 | 581 |
| 2020-01-21 | 2020-03-23 | 2020-11-09 | -0.4845 | 205 | 44 | 161 |
| 2011-07-08 | 2011-10-04 | 2012-02-03 | -0.2267 | 141 | 61 | 80 |
| 2018-09-21 | 2018-12-24 | 2019-04-16 | -0.2171 | 142 | 65 | 77 |
| 2015-07-17 | 2016-02-11 | 2016-12-07 | -0.1937 | 353 | 145 | 208 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 | -0.4 | -0.6 |
| 2007 | 0.9 | -0.6 | 0.3 | 0.5 | 0.7 | -0.6 | 0 | 2 | 1.4 | -2.8 | 0.9 | 0.5 | 3.2 |
| 2008 | 1.7 | -3.3 | 4.9 | 2.8 | 0 | -1.5 | -0.8 | -1 | -0.5 | 5.2 | -5.1 | 3.5 | 5.6 |
| 2009 | -4.3 | -2.4 | 1.3 | -0.7 | 6.1 | -0.1 | 0 | -2.2 | -2.8 | -2.8 | 2.1 | 0 | -6.2 |
| 2010 | 1.1 | 1.7 | 0.6 | -2.4 | -0.9 | 0.7 | 0.3 | 3.8 | -0.2 | -0.5 | 2 | -0.2 | 5.9 |
| 2011 | 0.9 | -1.3 | 0.7 | 0 | -1.9 | 2.4 | -1.1 | -0.2 | -2.8 | -1.6 | 0.1 | -0.1 | -5 |
| 2012 | 1.4 | 0.6 | 0.7 | 1.5 | -3.5 | 3.3 | -0.8 | 0.2 | 0.2 | 1.9 | -0.1 | 1.7 | 7.2 |
| 2013 | 0.1 | 0.1 | -0.8 | -0.5 | -0.9 | 0.9 | 1 | -1.2 | 0.6 | 0.2 | 0.1 | -0.1 | -0.4 |
| 2014 | -0.7 | 0.5 | 1.4 | 0.3 | 0.1 | 1 | -0.2 | -0.2 | -1.2 | 0.9 | -1.2 | -0.2 | 0.4 |
| 2015 | -1.6 | -0.1 | -0.7 | 1.7 | 0.4 | 1.1 | 0.4 | -2.5 | 0.2 | 0.7 | 0.7 | -0.8 | -0.5 |
| 2016 | 1.1 | 2.3 | 0.2 | -0.4 | 0.1 | 1 | -0.3 | 0 | 0.8 | -1 | 0.1 | -0.7 | 3.1 |
| 2017 | -0.7 | 0.9 | 0.1 | -0.3 | 1.6 | 0.7 | 0 | 0.9 | 0.4 | 0.2 | 0 | -0.4 | 3.4 |
| 2018 | -0.7 | -2 | 1.6 | -1.4 | 0.9 | -0.1 | -1.3 | 0.4 | 0 | 1.6 | 0 | 0.8 | -0.3 |
| 2019 | 0 | 0.8 | 1.2 | -0.9 | -1.6 | 0.5 | -3 | -0.5 | -1.1 | 1.3 | -0.7 | 0.2 | -3.8 |
| 2020 | -2.1 | -0.9 | -6.4 | -4.5 | 2.1 | -0.6 | -1.4 | 0.9 | 1.2 | -1.3 | 1 | -0.3 | -11.8 |
| 2021 | 1.2 | 1.7 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-11-07 45.4 SPY 139. 0.0038 0.006 0.0261 0.0916 0.134 0.303 0.233 GLD 62.0 0.00240 0.0299
2 2006-11-10 45.7 SPY 138. 0.0004 0.0125 0.0144 0.0876 0.121 0.315 0.226 GLD 62.5 -0.0073 0.003
3 2006-11-13 45.8 SPY 139. 0.0025 0.0036 0.0143 0.0774 0.120 0.303 0.237 GLD 62.2 -0.00480 0.00480
4 2006-11-14 46.3 SPY 140. 0.0075 0.0073 0.0203 0.0757 0.129 0.313 0.219 GLD 61.6 -0.009 -0.0066
5 2006-11-15 46.6 SPY 140. 0.00290 0.008 0.0265 0.0768 0.136 0.328 0.221 GLD 61.8 0.0034 0.0119
6 2006-11-16 47 SPY 140. 0.0026 0.0159 0.0277 0.0741 0.137 0.338 0.222 GLD 61.3 -0.0086 -0.0261
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
